Structured Products Notes

Structured Products Notes - Structured Debt Products...

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Sheet1 Page 1 Structured Debt Products Generally categorized as Collateralized Debt Obligations (CDO), some examples include: -Collateralized Loan Obligations -Asset-Backed Securities -Commercial Mortgage-Backed Securities -Residential Mortgage-Backed Securities The collateral and source of cash flows come from loans Loans consist of: - Car Loans (typically packaged into ABS pools) - Student Loans (into ABS pools) - Corporate Loans (into CLO/CBO pools) - Leveraged Bank Loans (into CLO pools) - Insurance Payment (into CLO pools) - Conforming Mortgages (into MBS pools) - Subprime Mortgages (into ABS pools) Loans with similar features pooled together, because difficult to attribute credit ratings for and pricing when trading individual l Each loan pool has aggregate characteristics that are statistically trustworthy Characteristics used by investors to assess credit risk and payment characteristics of the pools, some important examples inlc - Average FICO Scores - Average Coupon - Average Life - Average Loan Age
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  • Fall '06
  • BOGAN,V.
  • Debt, Collateralized debt obligation, aaa tranche, ABS pools

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